A two-asset stochastic model for long-term portfolio selection

DOI10.1016/J.MATCOM.2009.02.012zbMath1170.91387OpenAlexW2023699607MaRDI QIDQ2390406

James J. Kung

Publication date: 22 July 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2009.02.012

zbMATH Keywords

Ornstein-Uhlenbeck processcontinuous-time formulationholding periodstatic mean-variance analysis

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Uses Software

• FinTS

Cites Work

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• Strategic asset allocation
• Multiple criteria linear programming model for portfolio selection
• Fuzzy compromise programming for portfolio selection
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Analysis of Financial Time Series
• A fuzzy goal programming approach to portfolio selection

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